It's because a Germanic spelling like "Kahn" is more familiar to most Americans, especially those who buy hot dogs and luncheon meats or who watch Mel Brooks movies with a leading lady named Madeleine, than a more South/Central Asian spelling like "Khan." We're more used to words with "ah" in them than words with "kh" in them. And our expectations about words often keep us from seeing the actual order of the letters. The brain tends to take in words as aggregates.
On the other hand, I often see people overcorrecting in the other direction by misspelling "Gandhi" as "Ghandi."